The realignment of international stock markets after the 1987 crash, with special reference to the Johannesburg Stock Exchange

1997 ◽  
Vol 11 (1) ◽  
pp. 1-13
Author(s):  
G D I Barr ◽  
L Sharp
Keyword(s):  
Special Reference ◽  
Stock Markets ◽  
Stock Exchange ◽  
Johannesburg Stock Exchange ◽  
International Stock Markets

scholarly journals An empirical investigation of the goals of listed firms on the Johannesburg Stock Exchange

1982 ◽  
Vol 13 (2) ◽  
pp. 76-88
Author(s):  
Johan K. Bosch ◽  
Alwyn P. Du Plessis
Keyword(s):  
Special Reference ◽  
Empirical Investigation ◽  
Stock Exchange ◽  
Shareholder Wealth ◽  
Relative Importance ◽  
Goal Structure ◽  
Wealth Maximization ◽  
Listed Firms ◽  
Johannesburg Stock Exchange ◽  
Shareholder Wealth Maximization

In economics and finance it is often assumed that firms merely seek the maximization of shareholder wealth. In order to test this hypothesis an empirical investigation on the goal structure of firms listed on the Johannesburg Stock Exchange was performed with special reference to the relative importance of the concept of shareholder wealth maximization and social responsibility of the firm.The responses indicated that the wealth maximization hypothesis tested in this survey appears to be applicable for the firms which participated, albeit not always in terms of all the possible parameters of the wealth maximization hypothesis.

scholarly journals The Adaptive Market Hypothesis and the Day‑of‑the‑Week Effect in African Stock Markets: the Markov Switching Model

2019 ◽  
Vol 22 (3) ◽  
pp. 145-162 ◽  
Author(s):  
Adefemi A. Obalade ◽  
Paul Francois Muzindutsi
Keyword(s):  
Stock Markets ◽  
Stock Exchange ◽  
Markov Switching ◽  
Markov Switching Model ◽  
Market Conditions ◽  
Analytical Technique ◽  
Switching Model ◽  
Bear Market ◽  
Johannesburg Stock Exchange ◽  
Day Of The Week

In line with the Adaptive Market Hypothesis (AMH), the objective of this study is to investigate how the day‑of‑the‑week (DOW) effect behaves under different bull and bear market conditions in African stock markets, and to examine the likelihood of being in a bull or bear regime for each market. A Markov Switching Model (MSM) was employed as the analytical technique. The results show that the DOW effect appears in one regime and disappears in another, in all markets, as rooted in the AMH. Lastly, all markets, except the Johannesburg Stock Exchange have a higher tendency to be in a bearish state than a bullish one. Our findings show that active investment management may yield profits for investors investing in most African markets during bearish conditions.

scholarly journals Macroecenomic identification of the pricing factors on the Johannesburg Stock Exchange

1990 ◽  
Vol 21 (1/2) ◽  
pp. 17-26 ◽  
Author(s):  
G. D.I. Barr
Keyword(s):  
Factor Analysis ◽  
Stock Markets ◽  
Stock Exchange ◽  
Analysis Approach ◽  
Economic Factors ◽  
Short Term ◽  
Johannesburg Stock Exchange ◽  
Economic Forces ◽  
Pricing Factors ◽  
Business Confidence

This paper considers the main economic forces which drive the various sectors of the Johannesburg Stock Exchange, over the period 1979-1987. A factor-analysis approach identified these main forces as the price of gold, the short-term rate of interest, the performance of foreign stock markets, and local business confidence. The period considered is broken down into several subperiods in which these economic factors performed differently and where one or other dominated. This enables one to obtain a precise idea of which economic variables move which sectors and when.

scholarly journals Stock Market Volatility Using GARCH Models: Evidence from South Africa and China Stock Markets

2017 ◽  
Vol 8 (6(J)) ◽  
pp. 237-245
Author(s):  
Priviledge Cheteni
Keyword(s):  
South Africa ◽  
Stock Returns ◽  
Stock Markets ◽  
Stock Exchange ◽  
Composite Index ◽  
Stock Market Volatility ◽  
Johannesburg Stock Exchange ◽  
Arch Effect ◽  
Show Evidence ◽  
High Volatility

Abstract: This study looks into the relationship between stock returns and volatility in South Africa and China stock markets. A Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model is used to estimate volatility of the stock returns, namely, the Johannesburg Stock Exchange FTSE/JSE Albi index and the Shanghai Stock Exchange Composite Index. The sample period is from January 1998 to October 2014. Empirical results show evidence of high volatility in both the JSE market, and the Shanghai Stock Exchange. Furthermore, the analysis reveals that volatility is persistent in both exchange markets and resembles the same movement in returns. Consistent with most stock return studies, we find that movements of both markets seem to take a similar trajectory.Keywords: GARCH, ARCH effect, JSE index, Shanghai Stock Exchange Composite Index

scholarly journals Stock Market Integration in Africa: The Case of the Johannesburg Stock Exchange and Selected African Countries

2015 ◽  
Vol 14 (2) ◽  
pp. 367 ◽  
Author(s):  
Gail Ncube ◽  
Kapingura Forget Mingiri
Keyword(s):  
Stock Markets ◽  
Market Integration ◽  
Stock Exchange ◽  
International Markets ◽  
African Countries ◽  
Stock Market Integration ◽  
Johannesburg Stock Exchange ◽  
Long Run ◽  
Causality Tests ◽  
Back Ground

African stock markets are deemed to be small, segmented and illiquid. Given this back ground, the study utilises monthly data for the period 2000-2008, employing the Johansen and Julius cointegration method to determine the long-run relationship between the five selected African stock markets. Granger causality tests were also conducted to establish if there are any causal links between the stock markets in Africa. The analysis in the study indicates that African stock markets are improving in performance, generally, growing and developing. However empirical results indicate that African markets are segmented. Further analysis to determine the relationship between the five selected African stock markets and the world stock markets shows that African stock markets are affected by developments in the international markets. Hence, portfolio diversification opportunities exist in the African stock markets suggesting that investors should also consider investing in their African countries as they offer opportunities rather than considering investing in the international markets only.

scholarly journals MODELLING THE CONDITIONAL CO-MOVEMENTS OF PAKISTAN AND INTERNATIONAL STOCK MARKETS

2021 ◽  
Vol 9 (3) ◽  
pp. 295-307
Author(s):  
Ali Akbar Pirzado ◽  
Naeem Ahmed Qureshi ◽  
Imran Khan Jaoti ◽  
Komal Arain ◽  
Riaz Ali Buriro
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Stock Exchange ◽  
Information Criterion ◽  
Forecast Evaluation ◽  
Conditional Correlation ◽  
International Stock Markets ◽  
Out Of Sample ◽  
The Government ◽  
New Policies

Purpose of the study: This study assesses and evaluates the conditional co-movements and dynamic conditional correlation of the Pakistan Stock Exchange (PSX) with other Stock Market. Methodology: DCC-GARCH model has been applied due to its feasibility to model the covariance as a function of correlation and variance together. Main findings: The findings of the research suggest that the Pakistani Stock Exchange (PSX) is highly volatile compared to two other selected stock markets. In-sample fitting, the study has selected the DCC-GARCH (1, 1) model based on information criterion, conversely, the criterion used for out-of-sample forecast evaluation such as MSFE, RMSFE, MAPE, selected the DCC (2,1)-GARCH (1,1). Application of the study: This study is very useful for the Pakistan stock market and other international selected stocks markets until and unless the government of Pakistan and other governments will devise new policies which may open new opportunities to investors. Novelty/ Originality of the study: This study has a great potential in the Pakistani stock market to offer investors to several foreign and domestic investors, allowing them to hold Pakistan as well as foreign and local stocks all major benefits.

scholarly journals Volatility in Indian Stock Markets During COVID-19

2022 ◽  
Vol 9 (1) ◽  
pp. 1-16
Author(s):  
Khushboo Gupta ◽  
Seshanwita Das ◽  
Kanishka Gupta
Keyword(s):  
Special Reference ◽  
Stock Markets ◽  
Decision Process ◽  
Stock Exchange ◽  
Investment Decision ◽  
Time Frame ◽  
Investment Strategies ◽  
Equity Investment ◽  
Augmented Dickey Fuller ◽  
The Impact

The aim of the paper is to evaluate the impact of novel COVID-19 on the returns and volatility of Indian stock markets with special reference to equity investment strategies of Bombay Stock Exchange. For the purpose of evaluating the impact, the study has applied GARCH) The research has considered a time frame from March, 2015 to January, 2021. Prior to implementing GARCH model, pre-estimation tests i.e., Augmented Dickey-Fuller and ARCH-Lagrange Multiplier, were conducted. Outcomes clearly indicate that the returns during the crisis for all the strategy indices have been negative which means that the COVID-19 outbreak resulted in massive losses. Additionally, 'during crisis' period showed increase in volatility for all the strategy indices depicting that the pandemic has a long-lasting effect and will take time to fade off. This research will help the investors in the investment decision process by giving them insights about the different strategies.

Investor Overreaction in International Stock Markets

CFA Digest ◽  
2000 ◽  
Vol 30 (1) ◽  
pp. 31-32
Author(s):  
Janet Yuen
Keyword(s):  
Stock Markets ◽  
International Stock Markets
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